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Which one of the following deals would have the greatest credit exposure for a $1,000,000 deal size (assume the counterparty in each deal is an AAA-rated bank and has no settlement risk)?
A
Pay fixed in an Australian dollar (AUD) interest rate swap for one year.
B
Sell USD against AUD in a one-year forward foreign exchange contract.
C
Sell a one-year AUD cap.
D
Purchase a one-year certificate of deposit.
